Merge pull request #88 from bancorprotocol/balancer2

Balancer2

fastlane_bot/tools/cpc.py

@@ -7,8 +7,8 @@
 NOTE: this class is not part of the API of the Carbon protocol, and you must expect breaking
 changes even in minor version updates. Use at your own risk.
 """
-__VERSION__ = "3.0"
-__DATE__ = "22/Aug/2023"
+__VERSION__ = "3.1"
+__DATE__ = "25/Aug/2023"
 
 from dataclasses import dataclass, field, asdict, InitVar
 from .simplepair import SimplePair as Pair
@@ -25,6 +25,7 @@
 from sys import float_info
 from hashlib import md5 as digest
 import time
+from .cpcbase import CurveBase
 
 try:
     dataclass_ = dataclass(frozen=True, kw_only=True)
@@ -347,7 +348,7 @@ def __getattr__(self, name):
 
 
 @dataclass_
-class ConstantProductCurve:
+class ConstantProductCurve(CurveBase):
     """
     represents a, potentially levered, constant product curve
 
@@ -1247,6 +1248,25 @@ def kbar(self):
             return sqrt(self.k)
         return self.k**self.alpha
 
+    def invariant(self, xvec=None, *, include_target=False):
+        """
+        returns the actual invariant of the curve (eg x*y for constant product)
+        
+        :xvec:              vector of x values (default: current)
+        :include_target:    if True, the target invariant returned in addition to the actual invariant
+        :returns:           invariant, or (invariant, target)
+        """
+        if xvec is None: 
+            xvec = {self.tknx: self.x, self.tkny: self.y}
+        x,y = xvec[self.tknx], xvec[self.tkny]
+        if self.is_constant_product():
+            invariant = sqrt(x * y)
+        else:
+            invariant = x**self.alpha * y**(1-self.alpha)
+        if not include_target:
+            return invariant
+        return (invariant, self.kbar)
+
     @property
     def x_min(self):
         "minimum (virtual) x value"
@@ -1404,6 +1424,21 @@ def xyfromp_f(self, p=None, *, ignorebounds=False, withunits=False):
 
         return x, y, p
 
+    def xvecfrompvec_f(self, pvec, *, ignorebounds=False):
+        """
+        alternative API to xyfromp_f
+        
+        :pvec:      a dict containing all prices; the dict must contain the keys
+                    for tknx and for tkny and the associated value must be the respective
+                    price in any numeraire (only the ratio is used)
+        :returns:   token amounts as dict {tknx: x, tkny: y}
+        """
+        assert self.tknx in pvec, f"pvec must contain price for {self.tknx} [{pvec.keys()}]"
+        assert self.tkny in pvec, f"pvec must contain price for {self.tkny} [{pvec.keys()}]"
+        p = pvec[self.tknx] / pvec[self.tkny]
+        x, y, _ = self.xyfromp_f(p, ignorebounds=ignorebounds)
+        return {self.tknx: x, self.tkny: y}
+
     def dxdyfromp_f(self, p=None, *, ignorebounds=False, withunits=False):
         """like xyfromp_f, but returns dx,dy,p instead of x,y,p"""
         x, y, p = self.xyfromp_f(p, ignorebounds=ignorebounds)
@@ -1412,6 +1447,21 @@ def dxdyfromp_f(self, p=None, *, ignorebounds=False, withunits=False):
         if withunits:
             return dx, dy, p, self.tknxp, self.tknyp, self.pairp
         return dx, dy, p
+
+    def dxvecfrompvec_f(self, pvec, *, ignorebounds=False):
+        """
+        alternative API to dxdyfromp_f
+        
+        :pvec:      a dict containing all prices; the dict must contain the keys
+                    for tknx and for tkny and the associated value must be the respective
+                    price in any numeraire (only the ratio is used)
+        :returns:   token difference amounts as dict {tknx: dx, tkny: dy}
+        """
+        assert self.tknx in pvec, f"pvec must contain price for {self.tknx} [{pvec.keys()}]"
+        assert self.tkny in pvec, f"pvec must contain price for {self.tkny} [{pvec.keys()}]"
+        p = pvec[self.tknx] / pvec[self.tkny]
+        dx, dy, _ = self.dxdyfromp_f(p, ignorebounds=ignorebounds)
+        return {self.tknx: dx, self.tkny: dy}
 
     def yfromx_f(self, x, *, ignorebounds=False):
         "y value for given x value (if in range; None otherwise)"

fastlane_bot/tools/cpcbase.py

@@ -0,0 +1,51 @@
+"""
+base class for representing a generic curve in the context of the optimizer*
+
+(c) Copyright Bprotocol foundation 2023. 
+Licensed under MIT
+
+*whilst the name of the file ("cpc") alludes to constant product curves, this is for 
+historical reasons only; this class deal with generic curves
+
+NOTE: this class is not part of the API of the Carbon protocol, and you must expect breaking
+changes even in minor version updates. Use at your own risk.
+"""
+from abc import ABC, abstractmethod
+class CurveBase(ABC):
+    """
+    base class for representing a generic curve in the context of the optimizer
+    """
+
+    @abstractmethod
+    def dxvecfrompvec_f(self, pvec, *, ignorebounds=False):
+        """
+        get token holding vector xvec from price vector pvec
+        
+        :pvec:      a dict containing all prices; the dict must contain the keys
+                    for tknx and for tkny and the associated value must be the respective
+                    price in any numeraire (only the ratio is used)
+        :returns:   token difference amounts as dict {tknx: dx, tkny: dy}
+        """
+        raise NotImplementedError("dxvecfrompvec_f must be implemented by subclass")
+
+    @abstractmethod  
+    def xvecfrompvec_f(self, pvec, *, ignorebounds=False):
+        """
+        get change in token holding vector xvec, dxvec, from price vector pvec
+        
+        :pvec:      a dict containing all prices; the dict must contain the keys
+                    for tknx and for tkny and the associated value must be the respective
+                    price in any numeraire (only the ratio is used)
+        :returns:   token amounts as dict {tknx: x, tkny: y}
+        """
+        raise NotImplementedError("dxvecfrompvec_f must be implemented by subclass")
+
+    @abstractmethod
+    def invariant(self, include_target=False):
+        """
+        returns the actual invariant of the curve (eg x*y for constant product)
+        
+        :include_target:    if True, the target invariant returned in addition to the actual invariant
+        :returns:           invariant, or (invariant, target)
+        """
+        raise NotImplementedError("invariant must be implemented by subclass")

fastlane_bot/tools/optimizer/margpoptimizer.py

@@ -14,8 +14,8 @@
 This module is still subject to active research, and comments and suggestions are welcome. 
 The corresponding author is Stefan Loesch <[email protected]>
 """
-__VERSION__ = "5.0"
-__DATE__ = "26/Jul/2023"
+__VERSION__ = "5.1"
+__DATE__ = "25/Aug/2023"
 
 from dataclasses import dataclass, field, fields, asdict, astuple, InitVar
 import pandas as pd
@@ -211,7 +211,13 @@ def dtknfromp_f(p, *, islog10=True, asdct=False, quiet=False):
                     print(f"\n[dtknfromp_f] =====================>>>")
                     print(f"prices={p}")
                     print(f"tokens={tokens_t}")
-
+
+                # pvec is dict {tkn -> (log) price} for all tokens in p
+                pvec = {tkn: p_ for tkn, p_ in zip(tokens_t, p)}
+                pvec[targettkn] = 1
+                if P("debug") and not quiet:
+                    print(f"pvec={pvec}")
+
                 sum_by_tkn = {t: 0 for t in alltokens_s}
                 for pair, (tknb, tknq) in zip(pairs, pairs_t):
                     if get(p, tokens_ix.get(tknq)) > 0:
@@ -221,8 +227,14 @@ def dtknfromp_f(p, *, islog10=True, asdct=False, quiet=False):
                         price = 1
                     curves = curves_by_pair[pair]
                     c0 = curves[0]
-                    dxdy = tuple(dxdy_f(c.dxdyfromp_f(price)) for c in curves)
+                    #dxdy = tuple(dxdy_f(c.dxdyfromp_f(price)) for c in curves)
+                    dxvecs = (c.dxvecfrompvec_f(pvec) for c in curves)
+
                     if P("debug2") and not quiet:
+                        dxdy = tuple(dxdy_f(c.dxdyfromp_f(price)) for c in curves)
+                            # TODO: rewrite this using the dxvec
+                            # there is no need to extract dy dx; just iterate over dict
+                            # however not urgent because this is debug code
                         print(f"\n{c0.pairp} --->>")
                         print(f"  price={price:,.4f}, 1/price={1/price:,.4f}")
                         for r, c in zip(dxdy, curves):
@@ -233,12 +245,16 @@ def dtknfromp_f(p, *, islog10=True, asdct=False, quiet=False):
                             print(s)
                         print(f"<<--- {c0.pairp}")
 
-                    sumdx, sumdy = sum(dxdy)
-                    sum_by_tkn[tknq] += sumdy
-                    sum_by_tkn[tknb] += sumdx
+                    # old code from dxdy = tuple(dxdy_f(c.dxdyfromp_f(price)) for c in curves)
+                    # sumdx, sumdy = sum(dxdy)
+                    # sum_by_tkn[tknq] += sumdy
+                    # sum_by_tkn[tknb] += sumdx
+                    for dxvec in dxvecs:
+                        for tkn, dx_ in dxvec.items():
+                            sum_by_tkn[tkn] += dx_
 
-                    if P("debug") and not quiet:
-                        print(f"pair={c0.pairp}, {sumdy:,.4f} {tn(tknq)}, {sumdx:,.4f} {tn(tknb)}, price={price:,.4f} {tn(tknq)} per {tn(tknb)} [{len(curves)} funcs]")
+                    # if P("debug") and not quiet:
+                    #     print(f"pair={c0.pairp}, {sumdy:,.4f} {tn(tknq)}, {sumdx:,.4f} {tn(tknb)}, price={price:,.4f} {tn(tknq)} per {tn(tknb)} [{len(curves)} funcs]")
 
                 result = tuple(sum_by_tkn[t] for t in tokens_t)
                 if P("debug") and not quiet:

main.py

@@ -6,15 +6,18 @@
 Licensed under MIT
 """
 
-env_var = "TENDERLY_FORK_ID"
-with open(".env", "r") as file:
-    lines = file.readlines()
-
-with open(".env", "w") as file:
-    for line in lines:
-        if line.startswith(f"{env_var}=") or line.startswith(f"export {env_var}="):
-            line = f"{env_var}="
-        file.write(line)
+try:
+    env_var = "TENDERLY_FORK_ID"
+    with open(".env", "r") as file:
+        lines = file.readlines()
+
+    with open(".env", "w") as file:
+        for line in lines:
+            if line.startswith(f"{env_var}=") or line.startswith(f"export {env_var}="):
+                line = f"{env_var}="
+            file.write(line)
+except:
+    pass
 
 import time
 from typing import List